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Which of the following statements about the Sharpe ratio is false? (a) The Sharpe ratio...

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Finance

Which of the following statements about the Sharpe ratio is false?

(a) The Sharpe ratio can be used to evaluate absolute performance of undiversified portfolios.

(b) The Sharpe ratio considers both the systematic and unsystematic risks of a portfolio.

(c) The Sharpe ratio is equal to the excess return of a portfolio over the market return divided by the total risk of the portfolio.

(d) The Sharpe ratio is derived from the capital market line

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